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panelvar (version 0.5.6)

Panel Vector Autoregression

Description

We extend two general methods of moment estimators to panel vector autoregression models (PVAR) with p lags of endogenous variables, predetermined and strictly exogenous variables. This general PVAR model contains the first difference GMM estimator by Holtz-Eakin et al. (1988) , Arellano and Bond (1991) and the system GMM estimator by Blundell and Bond (1998) . We also provide specification tests (Hansen overidentification test, lag selection criterion and stability test of the PVAR polynomial) and classical structural analysis for PVAR models such as orthogonal and generalized impulse response functions, bootstrapped confidence intervals for impulse response analysis and forecast error variance decompositions.

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Version

Install

install.packages('panelvar')

Monthly Downloads

946

Version

0.5.6

License

GPL (>= 2)

Maintainer

Robert Ferstl

Last Published

November 25th, 2024

Functions in panelvar (0.5.6)

oirf

Orthogonal Impulse Response Function
print.summary.pvarfeols

S3 Print Method for summary.pvarfeols
plot.pvarstability

S3 plot method for pvarstability object, returns a ggplot object
print.summary.pvarhk

S3 Print Method for summary.pvarhk
pvalue

P-value S3 Method
stability

Stability of PVAR(p) model
se

Standard Error S3 Method
print.pvarstability

S3 print method for pvarstability object
ex3_abdata

Example results for Employment UK data
print.pvarhk

S3 Print Method for pvarhk
knit_print.summary.pvarfeols

Knit Print summary Method
ex2_nlswork2_data_bs

NLS Work 2 bootstrap results example 2
print.summary.pvargmm

S3 Print Method for summary.pvargmm
knit_print.summary.pvargmm

Knit Print summary Method
pvarfeols

Fixed Effects Estimator for PVAR Model
summary.pvarhk

S3 Summary Method for pvarhk
print.pvargmm

S3 Print Method for pvargamm
knit_print.pvargmm

Knit Print Method for pvargmm
print.pvarfeols

S3 Print Method for pvarfeols
knit_print.pvarhk

Knit Print Method for pvarhk
summary.pvarfeols

S3 Summary Method for pvarfeols
pvargmm

GMM Estimation of Panel VAR Models
summary.pvargmm

S3 Summary Method for pvargmm
pvarhk

Hahn Kuehrsteiner Estimator for PVAR Model
residuals_level

Extracting Level Residuals
Cigar

Cigar data
bootstrap_irf

Empirical estimation of PVAR Impulse Response Confidence Bands
coef.pvargmm

Extract PVAR(p) Model Coefficients
coef.pvarhk

Extract PVARHK(p) Model Coefficients
coef.pvarfeols

Extract PVARFEOLS(p) Model Coefficients
Andrews_Lu_MMSC

Andrews Lu MMSC Criteria based on Hansen-J-Statistic
extract

Extract Coefficients and GOF Measures from a Statistical Object
fevd_orthogonal

Forcast Error Variance Decomposition for PVAR
hansen_j_test

Sargan-Hansen-J-Test for Overidentification
knit_print.pvarfeols

Knit Print Method for pvarfeols
ex1_dahlberg_data_bs

Dahlberg bootstrap results example 1
ex1_dahlberg_data

Dahlberg results example 1
Dahlberg

Swedish municipalities data
abdata

Employment UK data
nlswork2

NLS Work 2 data
knit_print.summary.pvarhk

Knit Print summary Method
fixedeffects

Extracting Fixed Effects
girf

Generalized Impulse Response Function